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Journal articles on the topic 'Investment portfolio of assets'

Author: Grafiati

Published: 30 May 2022

Last updated: 31 July 2025

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1

SARAL, KUNIKA. "Analyzing the Relationship between Real Estate Investments and Portfolio Diversification." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 05 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem32966.

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Real estate has long been considered an attractive investment option for individuals and institutions seeking to build wealth and diversify their portfolios. Unlike traditional investment vehicles such as stocks and bonds, real estate offers unique characteristics that can potentially enhance returns and mitigate risk. This analysis aims to explore the role of real estate investments in portfolio diversification and assess their potential impact on overall portfolio performance. Portfolio diversification is a fundamental principle in investment management, as it helps to spread risk across dif

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Gusliana, Shindi Adha, and Yasir Salih. "MEAN-VARIANCE INVESTMENT PORTFOLIO OPTIMIZATION MODEL WITHOUT RISK-FREE ASSETS IN JII70 SHARE." International Journal of Business, Economics, and Social Development 3, no. 4 (2022): 168–73. http://dx.doi.org/10.46336/ijbesd.v3i4.352.

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In investing, investors will try to limit all the risks in managing their investments. Investor strategies to minimize investment risk are diversification by forming investment portfolios, one of which is the Mean-Variance without risk-free assets. The calculation results will show the composition of the optimum portfolio return for each stock that forms the portfolio. Optimum portfolio obtained with wT = (0.39853, 0.25519, 0.13644, 0.09788, 0.11196) sequential weight composition for TLKM, KLBF, INCO, HRUM, and FILM stocks. The composition of this optimal portfolio return is ???? 0.04 with a r

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Dr., Keshav Gupta, and Ritika Gupta Ms. "CONSTRUCTING INVESTMENT PORTFOLIO: AN ANALYSIS OF PRICING OF SECURITIES." International Journal of Marketing & Financial Management 2, no. 1 (2014): 150–71. https://doi.org/10.5281/zenodo.10782296.

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Abstract: <strong> </strong> An investment portfolio is a collection of assets owned by an individual or by an institution. An investor's portfolio can include real estate and so-called "hard" assets, such as gold bars. But most investment portfolios, particularly portfolios that are assembled to pay for a retirement, are made up mainly of securities, such as stocks, bonds, mutual funds, money market funds and exchange traded funds. The Objectives of the study is to explore application of financial modeling in selection of securities portfolio. The stress has been given to check validity

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Gusliana, Shindi Adha, and Yasir Salih. "Mean-Variance Investment Portfolio Optimization Model Without Risk-Free Assets in Jii70 Share." Operations Research: International Conference Series 3, no. 3 (2022): 101–6. http://dx.doi.org/10.47194/orics.v3i3.185.

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In investing, investors will try to limit all the risks in managing their investments. Investor strategies to minimize investment risk are diversification by forming investment portfolios, one of which is the Mean-Variance without risk-free assets. The calculation results will show the composition of the optimum portfolio return for each stock that forms the portfolio. Optimum portfolio obtained with wT = (0.39853, 0.25519, 0.13644, 0.09788, 0.11196) sequential weight composition for TLKM, KLBF, INCO, HRUM, and FILM stocks. The composition of this optimal portfolio return is 𝜏 0.04 with a retu

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Mats, Vladyslav. "Hedge performance of different asset classes in varying economic conditions." Radioelectronic and Computer Systems 2024, no. 1 (2024): 217–34. http://dx.doi.org/10.32620/reks.2024.1.17.

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In the realm of long-term investment, strategic portfolio allocation is an essential tool, especially in relation to risk management and return optimisation. There are many ways to pursue optimal portfolio composition, and their effectiveness depends on many factors, including the investor’s goals, risk appetite, and investment horizon. One of the primary means of portfolio optimisation is diversification. The core idea of diversification is to maintain a diverse portfolio with weakly correlated assets that can vastly reduce portfolio exposure to different market stress factors. Diversificatio

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Sai, Priya KV. "Evaluating the Role of Virtual Digital Assets in Diversifying Investment Portfolios." Journal of Research and Review in Digital Marketing and Communications 2, no. 1 (2024): 54–61. https://doi.org/10.5281/zenodo.14032548.

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<em>Cryptocurrencies have emerged as the new type of assets that recently became popular in the financial markets. This paper focuses on the effects of virtual digital assets on investment portfolios. Using MPT as a theoretical framework, the research analyzes how the digital assets impact portfolio risk, return, and diversification. Its distinguishing features are decentralization, non-correlation with conventional financial instruments and relative high incidence. These features give portfolio optimization a new angle in diversification which would eliminate general risks and also improve po

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Purata-Aldaz, José, Juan Frausto-Solís, Guadalupe Castilla-Valdez, Javier González-Barbosa, and Juan Paulo Sánchez Hernández. "MASIP: A Methodology for Assets Selection in Investment Portfolios." Mathematical and Computational Applications 30, no. 2 (2025): 34. https://doi.org/10.3390/mca30020034.

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This paper proposes a Methodology for Assets Selection in Investment Portfolios (MASIP) focused on creating investment portfolios using heuristic algorithms based on the Markowitz and Sharpe models. MASIP selects and allocates financial assets by applying heuristic methods to accomplish three assignments: (a) Select the stock candidates in an initial portfolio; (b) Forecast the asset values for the short and medium term; and (c) Optimize the investment portfolio by using the Sharpe metric. Once MASIP creates the initial portfolio and forecasts its assets, an optimization process is started in

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Kong, Silin, and Mingchen Xu. "Portfolio Optimization for Junior Investors under Different Industries." BCP Business & Management 38 (March 2, 2023): 1506–15. http://dx.doi.org/10.54691/bcpbm.v38i.3925.

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Portfolio optimization has long been considered as an integral procedure of the financial markets. However, optimizing the portfolio may be difficult for junior investors. Therefore, this paper conducts a portfolio containing five diversified assets covering the e-commerce, entertainment industry, finance and insurance, and energy industries, and explores the optimal portfolio by maximizing the Sharpe ratio and minimizing the variance for each of these five assets through three models which are mean-variance analysis, CAPM and FF3F model. The results show that under both the FF3F and CAPM mode

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Kiyko, S., L. Deineha, M. Basanets, D. Kamienskyi, and A. Didenko. "PORTFOLIO MANAGEMENT OF ENERGY SAVING PROJECTS BASED ON THE MARKOVITS THEORY." Integrated Technologies and Energy Saving, no. 3 (November 9, 2021): 79–91. http://dx.doi.org/10.20998/2078-5364.2021.3.08.

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The goal of the work was to identify research and compare methods of portfolio management of energy saving projects and to develop software for optimizing portfolio investments using several methods. The key elements and strategies of creating an effective investment portfolio are considered: diversification, rebalancing, active portfolio management, passive portfolio management. Given the basic principles of investment theory, the task of portfolio investment is to form an investment portfolio with known shares of certain assets to maximize returns and minimize risk. To solve this probl

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Abdul Hali, Nurfadhlina, and Ari Yuliati. "Markowitz Model Investment Portfolio Optimization: a Review Theory." International Journal of Research in Community Services 1, no. 3 (2020): 14–18. http://dx.doi.org/10.46336/ijrcs.v1i3.104.

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In the face of investment risk, investors generally diversify and form an investment portfolio consisting of several assets. The problem is the fiery proportion of funds that must be allocated to each asset in the formation of investment portfolios. This paper aims to study the optimization of the Markowitz investment portfolio. In this study, the Markowitz model discussed is that which considers risk tolerance. Optimization is done by using the Lagrangean Multiplier method. From the study, an equation is obtained to determine the proportion (weight) of fund allocation for each asset in the fo

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VARAKIN, Matvei Yu. "Opportunities for using investments in wine for portfolio diversification: Foreign and Russian practices." Finance and Credit 29, no. 10 (2023): 2274–91. http://dx.doi.org/10.24891/fc.29.10.2274.

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Subject. This article discusses the opportunities for using investments in wine for the purpose of portfolio diversification, taking into account Russian and foreign practices. Objectives. The article aims to assess the possibilities of using collectible wine to diversify the investment portfolio. Methods. For the study, I used the mean-variance analysis, covariance and correlation analyses, modeling, and the statistical method. Results. The article presents the results of the assessment of the investment characteristics of collectible wine as a class of alternative assets. It describes the ma

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Bikas, Egidijus, and Algimantas Laurinavičius. "Aspects and Facilities of Financial and Real Estate Investment Portfolio Formation." Business: Theory and Practice 10, no. (2) (2009): 118–29. https://doi.org/10.3846/1648-0627.2009.10.118-129.

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The article examines a pressing problem of an effective investment portfolio formation. An effective investment portfolio is being formed from investments in the market for Lithuanian securities and real estate of Vilnius, considering the theoretical and practical aspects of forming an investment portfolio based on researches of foreign countries and Lithuanian investigation. An interpretation of different assets interaction allowed to reveal the suitability of real estate for investment portfolio diversification, safeguarding against cost rise, and the assurance of higher investment return. T

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Trimborn, Simon, Mingyang Li, and Wolfgang Karl Härdle. "Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach*." Journal of Financial Econometrics 18, no. 2 (2019): 280–306. http://dx.doi.org/10.1093/jjfinec/nbz016.

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Abstract Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have low liquidity compared to traditional assets, one needs to take into account liquidity issues when adding them to a portfolio. We propose a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which is a combination of risk-return portfolio optimization under liquidity constraints. Cryptocurrencies are included in portfolios formed with stocks of the S&P 100, US Bonds, and commodities. We illustrate the importance of the liquidi

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Hao, Yunfei, Jiajing Cai, Yilin Chen, and Shengyi Xu. "Application of Mean-Variance Model for Firefighter." BCP Business & Management 38 (March 2, 2023): 1494–99. http://dx.doi.org/10.54691/bcpbm.v38i.3923.

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A good investment portfolio can make the investment get more returns, which requires investors to adopt appropriate methods to optimize the investment portfolio. A portfolio is not just a simple sum of assets, it requires the use of suitable models to analyze optimal asset allocation. This paper analyzes the asset allocation of firefighters, and uses three methods of mean variance analysis, CAPM model and FF3F model to optimize the pension investment ratio of firefighters. At the same time, this paper analyzes multiple stocks from four industries including retail, technology, manufacturing, an

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MISHIN, ANDREY A. "ALLOCATION TO THEMATIC INVESTMENTS: A NEW APPROACH TO PORTFOLIO CONSTRUCTION." Scientific Works of the Free Economic Society of Russia 245, no. 1 (2024): 210–22. http://dx.doi.org/10.38197/2072-2060-2024-245-1-210-222.

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The article discusses the concept of thematic investment in asset allocation as an additional investment dimension that goes beyond asset classes, regions, sectors and styles, and suggests a structure for the distribution of thematic investments at the strategic level of asset allocation. The approach uses a structure based on reliable portfolio optimization, which takes into account the expected excess return from the impact of the topic and from exposure to traditional risk factors, and provides an example illustrating how thematic investments fit into traditional portfolios with multiple as

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Baydalin, A. D. "Optimization method of investment package based on Markowitz portfolio theory." Herald of Dagestan State Technical University. Technical Sciences 50, no. 4 (2024): 51–58. http://dx.doi.org/10.21822/2073-6185-2023-50-4-51-58.

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Objective. The aim of the study is to implement and evaluate the optimization method based on the Markowitz portfolio theory. Method. The model is built using the Python programming language and the necessary libraries. Also, to solve the problem, the principles of financial theory were used - the calculation of the risk of the purchased asset, portfolio diversification and the principle of optimality. These principles form the basis of financial theory and help you make informed decisions related to investment, financing, and risk management. Result. A model of the program has been compiled,

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Qiu, Zhilin. "Research on the Optimal Strategy of Investment Portfolio Based on Markowitz Model." Advances in Economics, Management and Political Sciences 75, no. 1 (2024): 53–60. http://dx.doi.org/10.54254/2754-1169/75/20241795.

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Nowadays, investment is becoming increasingly common. Under the globalization of the economy, investors are given more investment opportunities and choices. Investors need to select excellent assets and allocate the selected asset portfolio on weight during the investment process. The mean-variance model proposed by Markowitz plays an important guiding role in investment and risk management. This model can effectively evaluate investors portfolio risk and return decisions and significantly impact their decision-making choices. This study uses the data of the annual average return and variance

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18

Zhao, Jiayi. "Empirical Research on Optimizing Company Investment Strategy Based on Asset Portfolio Strategy -Taking the Pharmaceutical Industry as an Example." Advances in Economics, Management and Political Sciences 62, no. 1 (2023): 145–53. http://dx.doi.org/10.54254/2754-1169/62/20231336.

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In recent years, the pharmaceutical industry has developed rapidly due to the COVID-19. At the same time, with the development of modern asset theory, a variety of asset portfolio strategies can be used by people. In the capital market, the pharmaceutical industry has also become an emerging ideal investment industry, and various related investment portfolio products and trading methods are constantly being updated and improved. This article is based on modern asset portfolio strategies, through relevant worldwide asset allocation models, sharpe theory and CPAM model, and uses the optimal sele

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Śmietana, Katarzyna. "Diversification Principles Of Real Estate Portfolios." Real Estate Management and Valuation 22, no. 1 (2014): 51–57. http://dx.doi.org/10.2478/remav-2014-0007.

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Abstract Diversifying an investment portfolio through the diversification of assets, which is accompanied by the dispersion of risk, is aimed at achieving an appropriate balance between the expected return and an acceptable level of investment risk. While considering the specificity of various forms of investing in property, the level of the liquidity risk of property assets and the risk of financial instruments in the real estate market, as well as the volume of the capital involved and the regional differentiation of its allocation, this paper intends to present the possible ways of diversif

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Amanah, Fitri, Fauziah Roshafara, Puri Indah Lestari, Salwa Salsabila, and Renita Maharani. "Utilizing K-Means Clustering for Constructing Black-Litterman Portfolio Models." Jurnal Matematika, Statistika dan Komputasi 20, no. 3 (2024): 670–79. http://dx.doi.org/10.20956/j.v20i3.34165.

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A portfolio in finance is a collection of investment assets that aims to reduce risk by spreading investment across various assets. In building a portfolio, cluster analysis is used to select assets. K-Means cluster is often used because it is considered efficient for handling large data. In addition, the Black-Litterman Model is used because it can combine investor knowledge into asset allocation efficiently, so that the portfolio becomes more diverse, stable and adaptive to economic conditions, and reflects the investment manager's views. The research results show that k-means cluster analys

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Bekareva, Svetlana Viktorovna, Anna Vladimirovna Getmanova, and Anastasiya Igorevna Ivanova. "Effectiveness of an interactive method in teaching investment literacy: Factors determining the return of beginning investors’ portfolios." Science for Education Today 12, no. 5 (2022): 137–61. http://dx.doi.org/10.15293/2658-6762.2205.08.

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Introduction. The article examines how certain factors influence the efficiency of forming virtual portfolio of financial assets. The purpose of the article is to identify the factors that contribute to the investment return of beginning investors. Materials and Methods. The methodological basis of the study includes Russian and international research articles devoted to enhancing financial and investment literacy on the national level, the role of financial education in successful investments, and the factors of return estimations for various groups of investors, including young people and be

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Lee, Yongjae, Woo Chang Kim, and Jang Ho Kim. "Achieving Portfolio Diversification for Individuals with Low Financial Sustainability." Sustainability 12, no. 17 (2020): 7073. http://dx.doi.org/10.3390/su12177073.

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While many individuals make investments to gain financial stability, most individual investors hold under-diversified portfolios that consist of only a few financial assets. Lack of diversification is alarming especially for average individuals because it may result in massive drawdowns in their portfolio returns. In this study, we analyze if it is theoretically feasible to construct fully risk-diversified portfolios even for the small accounts of not-so-rich individuals. In this regard, we formulate an investment size constrained mean-variance portfolio selection problem and investigate the r

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Raharjanti, Amalia. "Mean-Variance Investment Without Risk-Free Assets in PT Company Shares PT Ace Hardware (Aces.Jk), PT Mayora Indah (Myor.Jk), PT Bri (Bbri.Jk), PT Siloam Hospital (Silo.Jk), PT Eterindo Wahanatama (Etwa.Jk)." Operations Research: International Conference Series 4, no. 3 (2023): 105–8. http://dx.doi.org/10.47194/orics.v4i3.251.

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Portfolio is a form of strategy that investors often apply in risky investment conditions. The essence of portfolio construction is to allocate funds to various investment options to minimize investment risk. Therefore, the aim of this discussion is to construct an investment portfolio of several shares using an average variable portfolio optimization model without risk-free assets. To obtain an optimal portfolio, a mean-variance investment optimization model without risk-free assets or what is called the Basic Markowitz model is used. This involves investors measuring the risk of an asset usi

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Gao, Haoxuan. "A Review of the Development of Portfolio Theory and Its Application in the Chinese Securities Market." Advances in Economics, Management and Political Sciences 87, no. 1 (2024): 214–22. http://dx.doi.org/10.54254/2754-1169/87/20240998.

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In the field of financial investment, portfolio theory has been widely studied as an important risk management and asset allocation tool. Generally speaking, investors will always aim for low risk and high yield. The portfolio theory fully accounts for investor psychology and introduces the concept of diversified investment, which focuses on finding ways to diversify investments to minimize non-systematic risk and maximize returns when people's expected income is impacted by a variety of uncertain factors. Portfolio theory, as one of the most important theories in the modern financial field, a

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Samaniego Alcántar, Ángel. "Portfolio Optimization with Long-Short Term Memory Deep Learning (LSTM)." Revista Mexicana de Economía y Finanzas 20, no. 2 (2025): 1–14. https://doi.org/10.21919/remef.v20i2.862.

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The objective is a methodology for weighting financial assets in an investment portfolio. It is contrasted by the components of the Dow Jones Industrial Average (DJIA). For this purpose, portfolios with investment horizons between 1 and 2 years are studied using Long-Short Term Memory (LSTM) optimization. The best portfolio was with an investment horizon of 1.5 years. The neural network is trained with 1,000 observations and more than 2,777 portfolios are simulated. The model outperforms the DJIA by 73% to 85%, with a geometric mean annual return differential between 3.7% and 5%. The component

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Intissar, Grissa, and Abaoub Ezzeddine. "Optimizing Portfolios in the Era of Digital Financialization (FinTech) Through Cryptocurrency Integration." International Journal of Innovative Science and Research Technology (IJISRT) 9, no. 2 (2024): 6. https://doi.org/10.5281/zenodo.10776650.

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The advent of the Fourth Industrial Revolution has precipitated a plethora of innovative technologies, among which are notable advancements revolutionizing the domain of finance. Particularly prominent within this milieu are the advent of Blockchain technology and the concomitant emergence of Cryptocurrencies, heralding the inception of novel forms of Decentralized Finance (DeFi) that significantly disrupt traditional financial (TradFi) paradigms. The advent of these innovative and technological financial instruments has imbued both laypersons and seasoned investors with a profound sense of cu

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Stoilov, Todor, Krasimira Stoilova, and Miroslav Vladimirov. "Decision Making in Real Estate: Portfolio Approach." Cybernetics and Information Technologies 21, no. 4 (2021): 28–44. http://dx.doi.org/10.2478/cait-2021-0041.

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Abstract An investment policy is suggested about assets on real estate markets. Such analysis recommends investments in non-financial assets and optimization of the results from such decisions. The formalization of the investment policy is based on the portfolio theory for asset allocation. Two main criteria are applied for the decision making: return and risk. The decision support is based on Mean-Variance portfolio model. A dynamical and adaptive investment policy is derived for active portfolio management. Sliding procedure in time with definition and solution of a set of portfolio problems

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Zhantaeva, A. A. "ALTERNATIVE OPTIONS FOR THE PLACEMENT OF ASSETS OF THE UNIFIED ACCUMULATIVE PENSION FUND." Statistika, učet i audit 83, no. 4 (2021): 22–31. http://dx.doi.org/10.51579/1563-2415.2021-4.03.

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In this situation, the peculiarity of managing pension assets is that there are certain requirements for the structure of the investment portfolio, that is, the introduction of preliminary restrictions on the upper share of various categories of instruments in the investment portfolio. They are: by assets, by risk, by concentration of ownership, by issuer and by type of securities. Therefore, in the process of forming a portfolio of assets (shares), assets with the least volatility are selected, i.e. the initial goal is to preserve assets, then profitability. In this regard, investment portfol

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Petukhina, Alla, and Erin Sprünken. "Evaluation of multi-asset investment strategies with digital assets." Digital Finance 3, no. 1 (2021): 45–79. http://dx.doi.org/10.1007/s42521-021-00031-9.

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AbstractThe drastic growth of the cryptocurrencies market capitalization boosts investigation of their diversification benefits in portfolio construction. In this paper with a set of classical and modern measurement tools, we assess the out-of-sample performance of eight portfolio allocation strategies relative to the naive 1/N rule applied to traditional and crypto-assets investment universe. Evaluated strategies include a range from classical Markowitz rule to the recently introduced LIBRO approach (Trimborn et al. in Journal of Financial Econometrics 1–27, 2019). Furthermore, we also compar

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Maslov, Sergei, and Yi-Cheng Zhang. "Optimal Investment Strategy for Risky Assets." International Journal of Theoretical and Applied Finance 01, no. 03 (1998): 377–87. http://dx.doi.org/10.1142/s0219024998000217.

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We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of different assets in an optimal portfolio. In this approach both average return and volatility of an asset are relevant indicators determining its optimal weight. Our results are particularly relevant for very risky assets when traditional continuous-time Gaussian portfolio theories are

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Belkhir, Nadia, Wafa Kammoun Masmoudi, Sahar Loukil, and Rihab Belguith. "Portfolio Diversification and Dynamic Interactions between Clean and Dirty Energy Assets." International Journal of Energy Economics and Policy 15, no. 1 (2024): 519–31. https://doi.org/10.32479/ijeep.17664.

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Clean energy, with its focus on environmental sustainability and efficiency, has gained significance as concerns over the impact of traditional energy growth. However, there is limited evidence on the value of clean energy investments. This paper explores the role of clean energy in a balanced investment portfolio by examining two traditional energy assets (crude oil and natural gas) and two clean energy assets (SPDR S&P Kensho Clean Power ETF and iShares Global Clean Energy ETF). Using a time-varying parameter vector autoregression (TVP-VAR) model on daily data from October 2021 to Januar

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Mitsel, Artur A., and Elena V. Viktorenko. "Dynamic model of BSF portfolio management." Russian Technological Journal 13, no. 2 (2025): 93–110. https://doi.org/10.32362/2500-316x-2025-13-2-93-110.

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Objectives. The work compares studies on BSF portfolios consisting of a risk-free Bond (B) asset, a Stock (S), and a cash Flow (F) that represents risky asset prices in the form of a tree structure. On the basis of existing models for managing dynamic investment portfolios, the work develops a dynamic model for managing a BSF portfolio that combines risk-free and risky assets with a deposit. Random changes in the prices of a risky asset are reflected in the developed model according to a tree structure. Two approaches to portfolio formation are proposed for the study: (1) initial capital is in

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Khalyapin, Alexey Alekseevich, Veronika Vyacheslavovna Bilevich, Shaig Faik oglu Aliev, and Rimma Aslanovna Mez. "TECHNIQUES FOR DEVELOPMENT AND CONTROL OF THE INVESTMENT PORTFOLIO IN ENTERPRISES." Scientific Review: Theory and Practice 14, no. 10 (2024): 1875–92. https://doi.org/10.35679/2226-0226-2024-14-10-1875-1892.

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In today's economy, companies aim to enhance the efficiency of their investments through the creation of balanced portfolios that reduce potential risks and increase the likelihood of return. This strategic approach to investing helps organizations to successfully achieve their financial goals. The creation of such a portfolio requires careful selection of investment assets, a deep understanding of the market, and the use of advanced analytical tools. The approach to portfolio formation is based on a comprehensive use of valuation and management methods that ensure an optimal combination of in

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KURLYANDSKII, Viktor V., and Aleksandr N. BILANENKO. "Using the multidimensional scaling method when assessing the financial feasibility of including foreign exchange market assets in securities portfolios." Finance and Credit 29, no. 7 (2023): 1595–614. http://dx.doi.org/10.24891/fc.29.7.1595.

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Subject. This article discusses the application of the multidimensional scaling method to improve the methods of formation and effective management of a portfolio of securities. Objectives. The article aims to prove the rationality of using the multidimensional scaling method to assess the financial feasibility of including foreign exchange market assets in securities portfolios. Methods. For the study, we used the methods of correlation analysis and multidimensional scaling. Results. The article finds that the use of the multidimensional scaling method helps identify similar features of the a

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Hartanto, Otniel William, and Sautma Ronni Basana. "COMPARISON OF INVESTMENT STRATEGIES IN INNOVATION AND NON-INNOVATION PORTFOLIOS WITH PORTFOLIO OPTIMIZATION." International Journal of Financial and Investment Studies (IJFIS) 3, no. 2 (2023): 101–9. http://dx.doi.org/10.9744/ijfis.3.2.101-109.

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This study aims to examine whether asset allocation strategies to the innovation sector can provide superior portfolio performance to investors. This type of research is comparative research using secondary data sources. The sample used is ETFs (Exchange Traded Funds) from investment companies namely BlackRock and Ark Invest since 2015. The focus of this study is to compare the performance of portfolios without an allocation to innovation assets and portfolios with allocations to innovation assets. This study analyzes the difference in performance between the two portfolios for various weighti

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Letho, Lehlohonolo, Grieve Chelwa, and Abdul Latif Alhassan. "Cryptocurrencies and portfolio diversification in an emerging market." China Finance Review International 12, no. 1 (2022): 20–50. http://dx.doi.org/10.1108/cfri-06-2021-0123.

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PurposeThis paper examines the effect of cryptocurrencies on the portfolio risk-adjusted returns of traditional and alternative investments within an emerging market economy.Design/methodology/approachThe paper employs daily arithmetic returns from August 2015 to October 2018 of traditional assets (stocks, bonds, currencies), alternative assets (commodities, real estate) and cryptocurrencies. Using the mean-variance analysis, the Sharpe ratio, the conditional value-at-risk and the mean-variance spanning tests.FindingsThe paper documents evidence to support the diversification benefits of crypt

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Boďa, Martin, and Mária Kanderová. "Investment Style Preference and its Effect Upon Performance of Tracking Portfolios." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 65, no. 6 (2017): 1851–63. http://dx.doi.org/10.11118/actaun201765061851.

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Any task of portfolio creation requires that a suitable pre‑selection of assets is made, out of which the resultant portfolio is to be formed. Several approaches in passive investing implemented through portfolio tracking are applied in practice, and assets are pre‑selected frequently on the basis of their capitalization or value/growth potential. The paper studies to which extent the investment style practiced by a small investor affects the performance of the tracking portfolio. The design of the analysis is experimental and hinges on tracking the S & P 500 Index in three different perio

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Sukono, Puspa Liza Binti Ghazali, Muhamad Deni Johansyah, et al. "Modeling of Mean-Value-at-Risk Investment Portfolio Optimization Considering Liabilities and Risk-Free Assets." Computation 12, no. 6 (2024): 120. http://dx.doi.org/10.3390/computation12060120.

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This paper aims to design a quadratic optimization model of an investment portfolio based on value-at-risk (VaR) by entering risk-free assets and company liabilities. The designed model develops Markowitz’s investment portfolio optimization model with risk aversion. Model development was carried out using vector and matrix equations. The entry of risk-free assets and liabilities is essential. Risk-free assets reduce the loss risk, while liabilities accommodate a fundamental analysis of the company’s condition. The model can be applied in various sectors of capital markets worldwide. This study

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Attar, Arbaz, Pranay Mule, Piyush Kulkarni, Shubham Narale, and Prof Ms Jaitee Bankar. "Investment Portfolio Management System: A Survey." International Journal for Research in Applied Science and Engineering Technology 11, no. 5 (2023): 2966–68. http://dx.doi.org/10.22214/ijraset.2023.52241.

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Abstract: An investment portfolio management system is a highly sophisticated software application meticulously crafted to assist investors in the management of their investment portfolios. This innovative system provides investors with a centralized platform that empowers them to track their investments meticulously, closely monitor their performance, and judiciously make informed investment decisions. The system encompasses several advanced features such as portfolio analysis, risk management tools, asset allocation strategies, and performance reporting, that provide investors with a compreh

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Qiao, Risheng, and Yongsheng Qiao. "Measurement and Control of Risk Contagion in Portfolio Optimization Processes." Symmetry 16, no. 6 (2024): 776. http://dx.doi.org/10.3390/sym16060776.

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The success of an investment portfolio is not only related to its yield, but is also influenced by market risks, especially the contagion risks that may exist between assets. Therefore, effective portfolio optimization requires first studying the risk contagion relationship between financial assets. We selected a total of six financial assets from different stock and exchange rate markets as the research objects, and explored the risk contagion relationships of various assets in the investment portfolio through Vine Copula. Research has shown that there is often a structural mutation in one or

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Bondar, Mykola I., Anna S. Stovpova, Natalia A. Ostapiuk, Olena H. Biriuk, and Olena V. Tsiatkovska. "Efficiency of Using Cryptocurrencies as an Investment Asset." International Journal of Criminology and Sociology 9 (October 21, 2021): 2944–54. http://dx.doi.org/10.6000/1929-4409.2020.09.359.

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The study of the effectiveness of using cryptocurrencies as an investment resource was conducted on the basis of testing the hypothesis that the introduction of leading cryptocurrencies that are components of the CRIX index into the investment portfolio improves its quality (efficiency). Cryptocurrency investment opportunities are explored on the basis of statistics for July 2016-June 2019. An average annual return on investment (ROI), which is adjusted for passive income on an investment asset (PI), is used to evaluate investment performance. In this study, cryptocurrencies are compared with

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Setiawan, Ezra Putranda. "OPTIMAL INVESTMENT PORTFOLIO WITH TRANSACTION LOT: DOES PRICE MATTER." Malaysian E Commerce Journal 8, no. 1 (2024): 40–45. https://doi.org/10.26480/mecj.01.2024.40.45.

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Transaction lot as a rule in real stock market had implemented in several portfolio optimization models. In almost all these models, the stock price became part of the constraint(s), but the role is not well understood. In this study, we compare the effectiveness of portfolio optimization models with transaction lot in different asset price level. We conduct a simulation study using 15 portfolios, each consists of four assets with various price range. We find that the usage of different stock price did not affect the performance of minimum- variance portfolio optimization with transaction lots

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Zverev, Alexei, Victoria Mandron, Tatiana Rebrina, Maria Mishina, and Yulia Karavaeva. "Investment policy of the banking sector: data from Russia." Revista Amazonia Investiga 10, no. 42 (2021): 149–62. http://dx.doi.org/10.34069/ai/2021.42.06.14.

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The growing investment activity of banking sector organisations is an important condition for securing diversification of assets and obtaining additional sources of income, as well as maintaining the required level of liquidity. Economic crises and instability of stock markets affect the investment policy of a bank, the quality of its investment portfolio, and the scope of investment transactions with securities. The purpose of the research is to carry out a comprehensive analysis of the investment mechanism of the Russian banking sector and its organisation, to characterise the investment pol

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Günther, Robin, Nadine Wills, and Daniel Piazolo. "Role of Real Estate in a Mixed-Asset Portfolio and the Impact of Illiquidity." International Journal of Real Estate Studies 16, no. 2 (2022): 34–46. http://dx.doi.org/10.11113/intrest.v16n2.168.

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Real estate ratios have increased in recent years. This article thus examines the diversification potential of real estate investments that German investors can achieve at a global scale. To this end, it analyzes how the illiquidity of some real estate investments or the illiquidity preference of an investor can bring about optimal investment ratios. Optimum allocation quotas for German investors with a wide range of mixed-asset allocations are examined. In addition to traditional optimizations, this article applies the three-fund theorem to include liquid and illiquid forms of real estate inv

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Huang, Tian, Deyi Shi, and Shihao Xue. "The role and helpfulness of pensions in personal financial investment after retirement." BCP Business & Management 23 (August 4, 2022): 255–63. http://dx.doi.org/10.54691/bcpbm.v23i.1359.

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More than 90% of wage earners in the United States can receive pension options benefits after retirement. It is especially important to manage funds reasonably and choose the right investment after retirement. We use the capital asset pricing model (CAPM) and the Fama-French three-factor model to establish pension and non-pension investment portfolios and measure the return and risk changes of pension portfolio investments under different portfolio investments. The experimental results show that pensions are of great help to the return and Sharpe ratio of portfolio investments. With the interv

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Dmitriev, D. N., and M. V. Tikhonova. "FORMATION OF INVESTMENT PORTFOLIO." Business Strategies, no. 5 (May 28, 2019): 17–20. http://dx.doi.org/10.17747/2311-7184-2019-5-17-20.

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The article is devoted to analytical research in the field of the formation of the investment portfolio, based on the goals that investors set themselves. In the course of the study, the basic points of forming your own investment portfolio were considered on the basis of various profitable assets existing on the Russian market, such as stocks, bonds, mutual funds, investments in forex, trust management and high-risk investments. In addition, approaches to the formation of an investment portfolio were analyzed on the basis of targets, the investor’s financial capabilities, estimated incomes an

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Ihsan Sadeq Rashed Al-Shimary. "The investment portfolio in facing the repercussions of the epidemiological crisis in Iraq (A diagnostic study in building investment portfolios)." Economic and Administrative Studies Journal 2, no. 1 (2023): 101–17. http://dx.doi.org/10.58564/easj/2.1.2023.7.

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The research aims to highlight the role that investment portfolios play, improving the economic situation, companies and individuals, given that the governor exercises its activity in an environment that is witnessing new and accelerating changes, the most important of which is the Coronavirus COVID-19 & Omicron crisis, which governs investors to gain experience for effectiveness and a group of investment and mental projects has been established Investment in a group of investment projects, sanctions in investment, and penalties in investing in investment investments, And that the investme

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Zhen, Tiaoyao. "A Study on the Risk-Return Evaluation of Corporate Annuity Portfolios in China." Asian Trade Association 9, no. 1 (2022): 25–39. http://dx.doi.org/10.22447/jatb.9.1.202206.25.

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Purpose - The purpose of this study is to evaluate the risk-return of China’s corporate annuity portfolio. In addition, it aims to enhance the quality of corporate annuity principals to strengthen corporate annuity control and risk-return evaluation by setting performance benchmarks to evaluate the investment portfolio mechanism of the investment manager. Design/Methodology/Approach - This study combines modern portfolio theory, financial regulation theory, and risk management theory to analyze the risk-return of corporate annuity portfolios of Qiming Venture Partners. The three analysis

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TKACHENKO, O.M. "Diversification of the private investor's investment portfolio as a way to reduce its riskiness." Market Relations Development in Ukraine №3(214)2019 132 (May 8, 2019): 40–47. https://doi.org/10.5281/zenodo.2678024.

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Each investor is searching for the best investment assets constantly. It helps him to get the most revenue, to diversify investment portfolios, minimize risks and increase return on investment. However, alternative investment in the stock and currency exchanges, the Internet, in the banking sector is quite risky and requires the investor to have the relevant knowledge, skills and experience. The article examines various investment assets that serve as a means of diversifying the investment portfolio in order to reduce its risk profile. Within the research, the author focuses on investments in

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Zhou, Jiarui. "Construction of the efficient frontier for portfolios combining risky and risk-free assets: an MPT-Based optimization model and visualization analysis." Journal of Fintech and Business Analysis 2, no. 2 (2025): 1–9. https://doi.org/10.54254/3049-5768/2025.24234.

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The volatility of financial markets has driven the diversification of investment instruments, encouraging investors to keep improving their portfolio-picking techniques. While numerous studies based on Modern Portfolio Theory (MPT) have developed accepted methods for determining optimal portfolios, not enough research has been done on the visual graphical analysis of risk preferences to accommodate diverse investors. Furthermore, by including risk-free assets in the analysis, this study presents an innovative methodology. This study's main goal is to find and analyze the risk portfolio frontie

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